Currency Futures Markets Case Study

2810 Words 12 Pages
Register to read the introduction… (why?) Your original agreement “was to sell ¥12,500,000 and receive $83,333.33” (sort of…) But now ¥12,500,000 is worth $83,892.62
$83,892.62  ¥12,500,000  $1 ¥149

You have lost $559.28 overnight.
7-7 Copyright © 2007 by The McGraw-Hill Companies, Inc. All rights reserved.

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9/25/2010

Daily Resettlement: An Example




The $559.28 comes out of your $3,333.33 margin account, l i $2,774.05 leaving $2 4 0 This is short of the $3,355.70 required for a new position.
$3,355.70  .04  ¥12,500,000  $1 ¥149

Your broker ill l t Y b k will let you slide until you run through lid til th h your maintenance margin. Then you must post additional funds (variation margin) or your position will be closed out (usually via reversing trade).

7-8 Copyright © 2007 by The McGraw-Hill Companies, Inc. All rights reserved.

Currency Futures Markets




The IMM division of the Chicago Mercantile Exchange (CME) is by far the largest. Others major players:


London International Financial Futures Exchange
 EuroNext-LIFFE

 

Tokyo International Financial Futures Exchange (TIFFE) NYBOT (ref. for contracts on € – see FT quotes) Though the growth rate has
…show more content…


Delivery date:
3rd Wednesday of delivery month, CLS (since 03-06).



Last trading day
Two business days before the delivery day



CME hours
 
7-10

7:20 a.m. to 2:00 p.m. CST ( = Chicago time) Extended hours on Globex
Copyright © 2007 by The McGraw-Hill Companies, Inc. All rights reserved.

CME After Hours


Extended-hours trading on GLOBEX
 Only

a short dinner break (used to be 4-6PM CST, now 4-5PM) offer interchangeable contracts.



Singapore International Monetary Exchange
 (SIMEX)



There exist other markets… …but none is close to matching the trading volume on the CME and SIMEX.

7-11

Copyright © 2007 by The McGraw-Hill Companies, Inc. All rights reserved.

6

9/25/2010

Reading Currency Futures Quotes
OPEN HIGH LOW SETTLE CHG LIFETIME HIGH LOW OPEN INT

Euro/US Dollar (CME)—€125,000; $ per €
Mar 1.3136 1.3167 1.3098 1.3112 -.0025 1.3687 1.1363 159,822 Jun 1.3170 1.3193 1.3126 1.3140 -.0025 1.3699 1.1750 10,096

Closing price Highest and lowest prices over the life Daily Change of the contract. Opening price Lowest price that day Number of open contracts Highest price that day Expiry

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